_hsm is all the media that syncs from HQ. The other folders are override folders. For example, to add the MAME wheel that's missing, go to \Media\Arcade (MAME)\Logos - System
Then save the image as the name that matches the system. In this case, it would be: Arcade (MAME).png
If it was a game logo/wheel, it would go in the "\Logos - Game" folder and be named the same as the gamename.